An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan

Kiyoharu Tagawa

Abstract

Portfolio optimization using loan is formulated as a chance constrained problem in which the borrowing money from loan can be invested in risk assets. The chance constrained problem is proven to a convex optimization problem. The low interest rate of loan benefits borrowers. On the other hand, the high interest rate of loan doesn’t benefits lenders because such a loan is not often used. For deciding a proper interest rate of loan that benefits both borrowers and lenders, a new method is proposed. Experimental results show that the loan is used completely to improve the efficient frontier if the interest rate is decided by the proposed method.

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Paper Citation


in Harvard Style

Tagawa K. (2020). An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan.In Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - Volume 1: COMPLEXIS, ISBN 978-989-758-427-5, pages 15-24. DOI: 10.5220/0009208400150024


in Bibtex Style

@conference{complexis20,
author={Kiyoharu Tagawa},
title={An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan},
booktitle={Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - Volume 1: COMPLEXIS,},
year={2020},
pages={15-24},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0009208400150024},
isbn={978-989-758-427-5},
}


in EndNote Style

TY - CONF

JO - Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - Volume 1: COMPLEXIS,
TI - An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan
SN - 978-989-758-427-5
AU - Tagawa K.
PY - 2020
SP - 15
EP - 24
DO - 10.5220/0009208400150024